How to measure small currents while in sleep mode

maybe a resistor in series with power line.

try using a value that causes around 100 milivolts of drop for expected current value.
Enough for measuring with digital voltmeter, and hopefully not enough to cause problems for pic operation.
However, if it leaves sleep mode, current consumption and voltage drop will increase and there will be trouble...

I've done this:

1) Use a decent meter with the appropriate scale.  As noted above, and in my experience as well, a resistor shunt measuring uA can introduce more troubles than its worth, IMHO. Lots of inexpensive DMMs have 200.0us scales.

2) To fix the problem of pegging your uA meter AND dragging down Vdd due to a cheapo meter's relatively high shunt impedance when the PIC wakes up:
2a) jumper the meter leads until the PIC sleeps and take your measurements then or..
2b) add a high side switch, MOSFET or whatever fits, controlled by an output pin, across the meter (and its shunt) that opens when the PIC goes into sleep.  Note that the code must open the switch and sleep using power stored in the bus capacitors. Likewise, the caps must have enough to run the PIC coming out of sleep long enough to close the switch.  I use a build-time switch to install the extra code to control the switch and remove it for release versions.

If you are tight on I/O, consider build-time reassignment of another IO line i.e. some LED that won't be used in power down, etc.

You could look for some IC that does the analog part, like ADM1192.
The good part is that is very easy to use because it have an I2C interface. The bad thing is that you should make some PCB.
If you are interested I can send you the artwork of a PCB I have done for general purpose applications using ADM1192.

Best,